《货币银行学》Ch6.pptVIP

Chapter 6 The Risk and Term Structure of Interest Rates Risk Structure of Interest Rates Default risk—occurs when the issuer of the bond is unable or unwilling to make interest payments or pay off the face value U.S. T-bonds were considered default free Risk premium—the spread between the interest rates on bonds with default risk and the interest rates on T-bonds Liquidity—the ease with which an asset can be converted into cash Income tax considerations Increase in Default Risk on Corporate Bonds Term Structure of Interest Rates Bonds with identical risk, liquidity, and tax characteristics may have different interest rates because the time remaining to maturity is different Yield curve—a plot of the yield on bonds with differing terms to maturity but the same risk, liquidity and tax considerations Upward-sloping ? long-term rates are above short-term rates Flat ? short- and long-term rates are the same Inverted ? long-term rates are below short-term rates Yield Curves Interest Rates on Different Maturity Bonds Move Together Facts Theory of the Term Structure of Interest Rates Must Explain Interest rates on bonds of different maturities move together over time When short-term interest rates are low, yield curves are more likely to have an upward slope; when short-term rates are high, yield curves are more likely to slope downward and be inverted Yield curves almost always slope upward Three Theories to Explain the Three Facts Expectations theory explains the first two facts but not the third Segmented markets theory explains fact three but not the first two Liquidity premium theory combines the two theories to explain all three facts Expectations Theory The interest rate on a long-term bond will equal an average of the short-term interest rates that people expect to occur over the life of the long-term bond Buyers of bonds do not prefer bonds of one maturity over another; they will not hold any quantity of a bond if its expected return is less than that of an